Iterated conditional expectations

Abstract

AbstractConsider the probability space ([0,1),B,λ), where B is the Borel σ-algebra on [0,1) and λ the Lebesgue measure. Let f=1[0,1/2) and g=1[1/2,1). Then for any ε>0 there exists a finite sequence of sub-σ-algebras Gj⊂B (j=1,…,N), such that putting f0=f and fj=E(fj−1|Gj), j=1,…,N, we have ‖fN−g‖∞<ε; here E(⋅|Gj) denotes the operator of conditional expectation given σ-algebra Gj. This is a particular case of a surprising result by Cherny and Grigoriev (2007) [1] in which f and g are arbitrary equidistributed bounded random variables on a nonatomic probability space. The proof given in Cherny and Grigoriev (2007) [1] is very complicated. The purpose of this note is to give a straightforward analytic proof of the above mentioned result, motivated by a simple geometric idea, and then show that the general result is implied by its special case